A Riccati-type algorithm for solving generalized Hermitian eigenvalue problems

The paper describes a heuristic algorithm for solving a generalized Hermitian eigenvalue problem fast. The algorithm searches a subspace for an approximate solution of the problem. If the approximate solution is unacceptable, the subspace is expanded to a larger one, and then, in the expanded subspace a possibly better approximated solution is computed. The algorithm iterates these two steps alternately. Thus, the speed of the convergence of the algorithm depends on how to generate a subspace. In this paper, we derive a Riccati equation whose solution can correct the approximate solution of a generalized Hermitian eigenvalue problem to the exact one. In other words, the solution of the eigenvalue problem can be found if a subspace is expanded by the solution of the Riccati equation. This is a feature the existing algorithms such as the Krylov subspace algorithm implemented in the MATLAB and the Jacobi–Davidson algorithm do not have. However, similar to solving the eigenvalue problem, solving the Riccati equation is time-consuming. We consider solving the Riccati equation with low accuracy and use its approximate solution to expand a subspace. The implementation of this heuristic algorithm is discussed so that the computational cost of the algorithm can be saved. Some experimental results show that the heuristic algorithm converges within fewer iterations and thus requires lesser computational time comparing with the existing algorithms.